Princess Mafalda of Savoy ( 1902-44 ) Second daughter of King Victor Emmanuel II of Italy. On the surrender of Italy to the allies, in 1943, Mafalda, wife of Prince Phillip of Hesse, was arrested by the Gestapo and interned in the Buchenwald concentration camp. Mafalda died there, as a result of injuries she received during an allied bombing raid on the camp, in August 1944. Not technically murder, however, if she had not been interned there by the Nazi regime.....As a side point, Mafalda`s husband had been named as a potential King of Finland, when that nation declared it`s independence from Russia, in December 1917. This ambition was never realised, but if it had happened, and Mafalda had still married Phillip in 1925, she would have become Queen consort of Finland.

I see that several people have said we should not discuss those who were executed but I'll add Princess Mishal'al bint Fahd al Saud to the list anyway. There is some controversy about whether she was tried and executed or just murdered.

Princess Mafalda of Savoy ( 1902-44 ) Second daughter of King Victor Emmanuel II of Italy. On the surrender of Italy to the allies, in 1943, Mafalda, wife of Prince Phillip of Hesse, was arrested by the Gestapo and interned in the Buchenwald concentration camp. Mafalda died there, as a result of injuries she received during an allied bombing raid on the camp, in August 1944. Not technically murder, however, if she had not been interned there by the Nazi regime.....As a side point, Mafalda`s husband had been named as a potential King of Finland, when that nation declared it`s independence from Russia, in December 1917. This ambition was never realised, but if it had happened, and Mafalda had still married Phillip in 1925, she would have become Queen consort of Finland.

Thats an interesting, and very tragic, case of recent murdered/killed Royals.
Ive just finished an interesting book on her husbands family during this period of history - Royals and The Reich - by Jonathan Petropoulos.
Which links to another relative of Princess Mafalda of Savoy, her brother-in-law, King (Tsar) Boris III of Bulgaria, who died in extremely suspicious circumstances in 1943 shortly after returning to Bulgaria after a visit to Adolf Hitler at the Berghof in Germany.
This had been a very angry exchange and difficult meeting between King Boris and Hitler, with arguments and disagreements over King Boris and Bulgaria's situation and involvement in the war, particularly concerning King Boris's resistance and refusal to involve Bulgarian troops on the Eastern Front fighting the Russians, and the deportation of Bulgarian Jews.
It is widely believed King Boris was poisoned by the Nazis before he left Germany, although some theories suggest the Soviets as a possibility.
King Boris was married to Princess Mafalda of Savoy's sister, Princess Giovanna of Savoy (Queen/Tsarina of Bulgaria).
They are the parents of King Simeon II of Bulgaria.

Another tragic murder of Royalty was the 1958 murder of the Iraqi Hashemite Royal Family in the military Republican Coup d'etat. HM King Faisal II (1939-58), his aunts and other Iraqi Princess's Hiyam, Nafeesa, Abadiya, were all shot and murdered at the start of the coup at the Royal Palace in Baghdad. The young King Faisal's uncle and Crown Prince, Abd al-Ilah was also shot, and then brutally murdered and mutilated, and put on public display through the streets of central Baghdad.
Some relatives survived elsewhere in hiding in Baghdad, or because they happened to be abroad at the time, and Princess Hiyam who was shot but survived and hid, and managed to later escape to Jordan, and the safety and reunion of their relatives in the Jordanian Hashemite Monarchy.
The other relatives that escaped in Baghdad were Princess Badiya bint Ali (sister of King Faisal's mother Queen Aliya bint Ali), her husband Sharif al-Hussein bin Ali, and their three children escaped to the Saudi Arabian Embassy in Baghdad, and adventually the Republican Coup military leadership allowed them to leave safely for Egypt.
Other survivors of the coup and murders were in London and Jordan.

History of my country has never been peaceful, so there were quite a few murdered royals, including Kings.
- Pap of Armenia
Pap was a progressive and strong ruler; however his pro-pagan sympathies (he reigned back in 370's, when Armenia had been a Christian country for just over 50 years) coupled with his refusal to submit to Byzantine authority eventually led to his death. The King was invited to a banquet and murdered, along with many Armenian nobles, by Roman General Traianus on orders of Emperor Valens. They say Pap's murder haunted Valens till the end of his days, including prior to the Battle of Adrianople.

- Smbat I of Armenia
At the time, Armenia was ravaged by Arab invasions. The fortress where the King was forced to retreat was surrounded by Arabs; hoping to end the onslaught and save people in the fortress, the King surrendered. Arabs, however, tortured him to death and put his headless and mutilated body on display. That didn't do them any good though, for Smbat's son, Ashot the Iron, managed to unite the country and free most of Armenia from the invaders.

- Constantine II, Prince of Armenia (Lord of Armenian Cilicia)
He succeeded to the Throne as a young boy, following the death of his father, Thoros I. As a result of a palace intrigue, he was sent into prison and poisoned or starved to death.

- Ruben II, Prince of Armenia (Lord of Armenian Cilicia)
He was murdered on orders of his uncle who disputed his succession.

- Mleh, Prince of Armenia (Lord of Armenian Cilicia)
Mleh was one of the few Armenian rulers who accepted Muslim faith; angered by that action, as well as Mleh's cruelty towards his own people, the Barons rebelled; Mleh was murdered and was succeeded by his rather more popular nephew Ruben.

- Hethum II and Leo III (Kings of Armenian Cilicia)
He voluntarily abdicated but continued acting as a regent (Grand Baron) during the minority of his nephew, Leo III. One of Mongol generals invited Hethum, Leo and 40 noblemen to a banquet; upon arrival, however, they were all murdered.

- Leo IV (King of Armenian Cilicia)
Leo's pro-western sympathies and especially his determination to unite Armenian Apostolic Church with Roman Catholic Church were deeply unpopular in Armenian Cilicia. Barons rebelled against him; he was imprisoned and later murdered.

- Thoros III (King of Armenian Cilicia)
He was strangled to death on orders of his younger brother, Sempad. He was only 16 at the time.

Armenia hasn't been a Kingdom for nearly a thousand years now.
Mostly, we did like our Kings quite a lot: the Monarch, along with the Church, was the symbol of our sovereignty and independence.
Quite a few of our Kings were killed by the enemy (Romans, Arabs, Persians, and all others who invaded this country at different times).

Byzantine Emperors:
Constans - assassinated in 350
Gratian - assassinated in 383
Maurice - beheaded in 602, after having seen his six sons executed
Phocas - beheaded in 610 by the hand of his successor as emperor
Constans II - assassinated in the bath in 668
Leontios - beheaded in 706
Tiberios III - beheaded in 706
Justinian II - beheaded in 711 (ordered the killings of Leontios and Tiberios when he became emperor himself), his six year old son and co-emperor Tiberius was murdered after Justinian's death
Philippikos Bardanes - killed in the baths in 713, it was he who ordered the killings of Justinian and Tiberius
Anastasios II - killed in 719
Leo V - assassinated in 820 in the palace chapel. His four sons were castrated and one of them died during the "operation"